Les déterminants du coût du capital des petites capitalisations : application aux segments B et C de la Bourse de Paris
The small capitalizations’ specificity (the size effect), has been in the centre of finance researches for many years; Only a few studies focus however on this segment. This research deals with companies of Euronext Paris lists B and C over the years 1994-2004. The APT model, with the use of specific attributes such as sensitivities to the risks affecting stock returns, balance the weak significativity of betas. In accordance with literature on “anomalies”, price-to-book ratio, financial leverage, momentum yield, distress’ situations as well as size influence small capitalizations’ stock returns. The stock coverage by “sell-side” analysts appreciably improves the model’s quality by conferring a significant explanatory power to fundamental variables. The realization of abnormal returns with these public informations throws back the assumption of informational efficiency on this segment.
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